Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: Review of Pacific Basin Financial Markets and Policies … 16 (2013) 04, pp. 1350028-1
Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV...